Abstract
<abstract><p>In this paper, we investigate the pricing of European options under a liquidity-adjusted non-affine stochastic volatility model. An analytical European option pricing formula is successfully derived with the COS method, based on an approximation for the characteristic function of the underlying log-asset price. Numerical analysis reveals that our results are very efficient and of reasonable accuracy, and we also present some sensitivity analysis to demonstrate the effects of different parameters on option prices.</p></abstract>
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